FORM Options History — April 2007

In April 2007, FORM traded between $41.29 and $46.24. ATM implied volatility averaged 41.6%. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 17.0% (HV 20d: 24.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2007-04-25: Highest Volume — 6,996 contracts
  • 2007-04-12: Largest IV spike — 28.3% change
  • 2007-04-24: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.55$41.29$46.24$44.91$41.29
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV41.6%34.8%50.6%36.5%41.1%
Expected Move12.3%10.0%14.5%10.5%11.8%
HV 20d24.6%17.6%33.1%33.1%26.5%
HV 60d38.2%33.0%40.2%40.2%33.0%
Term Structure-0.6%-6.0%9.0%8.9%-2.5%
VWIV43.0%34.2%50.3%36.4%39.7%
Skew 25d5.2%0.6%12.3%4.8%5.3%
Skew 10d9.1%0.2%19.5%8.0%9.2%
Call IV 25d36.7%29.0%40.7%34.6%36.4%
Put IV 25d41.9%36.6%45.6%39.4%41.7%
Bid-Ask Spread %13.526.9230.2815.8213.99
Gamma HHI0.540.350.820.510.39
Net GEX202.5K-268.8K633.7K87.2K-268.8K
Net DEX-6.6M-16.1M14.4M-9.3M14.4M
Net VEX-97.3K-119.9K-82.8K-106.5K-112.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.032.490.210.14
Total Volume1,342.251556,9969041,988
Total OI18,856.711,90121,15519,08720,480

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$44.91$45.0036.5%10.5%33.1%0.0%36.4%4.8%8.9%87.2K-9.3M-106.5K0.2115.82N/AN/A74815610,2138,874
2007-04-03$45.31$45.0035.9%10.3%31.2%0.0%34.7%1.3%9.0%181.0K-12.3M-103.7K0.5919.29N/AN/A1679810,6208,630
2007-04-04$45.61$45.0034.9%10.0%30.9%0.0%34.8%2.2%8.6%145.8K-12.2M-100.5K0.0418.44N/AN/A1,2835710,2348,703
2007-04-05$46.24$45.0034.8%10.0%24.9%0.0%34.2%4.9%8.8%209.2K-16.1M-101.6K0.1419.32N/AN/A5597610,6568,713
2007-04-09$45.67$45.0036.9%12.8%25.0%0.0%44.8%4.8%-2.1%213.9K-14.1M-97.4K0.766.92N/AN/A886710,7928,770
2007-04-10$44.34$45.0036.7%12.8%26.9%0.0%45.4%0.6%-2.1%162.8K-7.4M-96.9K0.568.40N/AN/A42723810,7998,826
2007-04-11$44.30$45.0034.9%12.9%25.8%0.0%45.2%9.7%-2.6%166.5K-7.5M-96.1K0.038.62N/AN/A4211410,8718,814
2007-04-12$44.62$45.0044.8%12.8%26.0%0.0%45.9%12.3%-2.5%253.1K-9.4M-96.2K0.828.62N/AN/A917511,1618,794
2007-04-13$44.17$45.0044.9%12.9%26.1%0.0%45.0%10.7%-2.7%221.3K-6.5M-93.7K0.057.58N/AN/A2141011,1028,832
2007-04-16$44.65$45.0044.8%12.8%26.5%0.0%44.7%4.3%-2.6%324.9K-9.7M-91.0K0.189.12N/AN/A87915611,2928,842
2007-04-17$44.29$45.0044.8%12.8%26.6%0.0%46.5%4.9%-2.4%406.4K-8.0M-91.7K0.689.85N/AN/A1016911,8748,954
2007-04-18$44.33$45.0045.5%13.1%26.6%0.0%45.5%4.8%-2.9%437.4K-6.9M-89.6K1.8112.19N/AN/A25446011,8578,969
2007-04-19$44.19$45.0046.7%13.4%18.5%0.0%46.8%4.9%-4.1%318.9K-3.5M-87.5K0.549.01N/AN/A68436811,8739,268
2007-04-20$44.88$45.0047.2%13.5%19.1%0.0%47.4%4.7%-4.7%633.7K-5.4M-86.7K0.3311.62N/AN/A1,28942511,8089,347
2007-04-23$45.14$45.0047.6%13.6%17.6%0.0%48.0%4.8%-3.4%166.5K-7.4M-82.8K0.3312.10N/AN/A1,2564176,2405,661
2007-04-24$45.39$45.0050.6%14.5%17.8%0.0%50.3%4.4%-6.0%244.3K-10.0M-88.1K0.4211.76N/AN/A1,2565257,1376,012
2007-04-25$45.31$45.0049.3%14.1%17.7%0.0%49.1%5.0%-4.7%245.5K-9.5M-90.0K2.009.54N/AN/A2,3304,6667,4096,318
2007-04-26$43.40$45.0037.6%10.8%23.1%0.0%37.9%5.4%-1.3%-16.9K3.7M-114.4K0.8730.28N/AN/A2,0361,7748,61210,043
2007-04-27$43.03$45.0036.3%10.4%22.8%0.0%37.2%4.8%-0.2%-82.2K5.6M-119.9K2.4927.84N/AN/A3228018,90610,828
2007-04-30$41.29$45.0041.1%11.8%26.5%0.0%39.7%5.3%-2.5%-268.8K14.4M-112.3K0.1413.99N/AN/A1,7512379,00211,478